The following pages of my master thesis aim to acquaint the reader with the major changes brought about by Basel III banking regulation. This new regulatory framework was created in response to the financial crisis (beginning in 2007), which revealed some weaknesses in the original Basel II regulation, and its purpose is to prevent future similar situations in the financial market by increasing the stability and resilience of the banking sector. Impacts of Basel III are reflected primarily in increased demand for quality capital used by banks and maintaining sufficient liquidity. As shown by the results of the analysis, these factors have further effect on interest spread of banks and the real economy.

<p><strong>Problem: </strong>Hur har implementeringen av det nya regelverket Basel II påverkat en liten respektive en stor bank? Vilken metod använder en liten respektive en stor bank vid beräkning av risker enligt den första pelaren och är storleken på bank avgörande för val av metod? Vilka brister har Basel II och hur kan regelverket förbättras?</p><p><strong>Syfte: </strong>Denna studie syftar till att beskriva och analysera hur Basel II påverkat en liten respektive en stor bank, dessutom påvisa om det finns skillnader i val av metod vid beräkning av risker enligt den första pelaren. Syftet är även att belysa Basel II´s brister, samt föreslå möjliga förbättringar.</p><p><strong>Metod: </strong>Vi har valt en kvalitativ undersökningsmetodik för insamling av empirisk data. Undersökningen bestod av intervjuer med en liten respektive en stor bank, samt Finansinspektionen. Även böcker, rapporter och tidigare forskning har legat till grund för vår studie.</p><p><strong>Slutsats: </strong>Bankerna i den här studien anser att implementeringen av Basel II varit resurskrävande, både kostnads- och kompetensmässigt. Nyttan har dock övervägts av kostnaderna då både Sparbanken i Enköping och storbanken ökat sin riskhanteringsförmåga. Val av metod skiljer sig enbart vid beräkning av kreditrisker. Storbanken använder den grundläggande IRK-metoden och har därför haft fördelen att få en kapitallättnad. Brister i det nuvarande regelverket är att kapitalkravet blir volatilt över tiden och att likviditetsrisken inte fått ett tillräckligt stort utrymme, vilket kan förbättras i ett framtida regelverk.</p>

Problem: Hur har implementeringen av det nya regelverket Basel II påverkat en liten respektive en stor bank? Vilken metod använder en liten respektive en stor bank vid beräkning av risker enligt den första pelaren och är storleken på bank avgörande för val av metod? Vilka brister har Basel II och hur kan regelverket förbättras? Syfte: Denna studie syftar till att beskriva och analysera hur Basel II påverkat en liten respektive en stor bank, dessutom påvisa om det finns skillnader i val av metod vid beräkning av risker enligt den första pelaren. Syftet är även att belysa Basel II´s brister, samt föreslå möjliga förbättringar. Metod: Vi har valt en kvalitativ undersökningsmetodik för insamling av empirisk data. Undersökningen bestod av intervjuer med en liten respektive en stor bank, samt Finansinspektionen. Även böcker, rapporter och tidigare forskning har legat till grund för vår studie. Slutsats: Bankerna i den här studien anser att implementeringen av Basel II varit resurskrävande, både kostnads- och kompetensmässigt. Nyttan har dock övervägts av kostnaderna då både Sparbanken i Enköping och storbanken ökat sin riskhanteringsförmåga. Val av metod skiljer sig enbart vid beräkning av kreditrisker. Storbanken använder den grundläggande IRK-metoden och har därför haft fördelen att få en kapitallättnad. Brister i det nuvarande regelverket är att kapitalkravet blir volatilt över tiden och att likviditetsrisken inte fått ett tillräckligt stort utrymme, vilket kan förbättras i ett framtida regelverk.

In order to cope with the operational risk resulting from drastic changes of financial market and diversified financial products (e.g. product design, training for sales personnel, risk management, etc.), Basel Committee on Banking Supervision¡]BCBS¡^decided that, under the minimum capital requirement, the banking groups are requested to increase the operational risk capital requirement, which will be implemented in the banking business by the end of 2006. The operational risk, defined by Basel Committee on Banking Supervision¡]BCBS¡^is ¡§the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events¡¨. Although the scope of the operational risk has been narrowed down, the definition is still ambiguous to the banking groups. The operational risk needs to be clearly distinguished from the credit risk and the market risk such that categorization and quantification of the banking business can be realized. In fact, besides the natural disasters and irresistible causes, most of operational risk results from the failure of internal control and policy execution rather than from causes of systemic risks. Therefore, it is inappropriate to apply the same risk coefficient to the banking groups without taking their operation quality and scale into consideration. It is also questionable that the capital requirement can entirely offset the financial loss caused by the operational risk. In order to minimize the loss from the operational risk, risk mitigation should be applied. The strategy is to collect the historical data and information to establish a database, which is commonly found in the following four approaches in performing the operational risk capital requirement¡GBasic Indicator Approach ¡]BIA¡^, Standardized Approach¡]SA¡^, Alternative Standardized Approach¡]ASA¡^, Advanced Measurement Approaches¡]AMA¡^. Hence, it is inevitable that the banking groups need to invest substantial amount of manpower and capital, which could become a huge burden to the banking groups but is the price to pay to arouse the banking groups¡¦ attention to reinforce the risk management and evaluation. Establishment of the systems and execution of the policies will not always be impeccable and there will always be room for discussion and modification. Nevertheless, the ultimate goal for the management is to well-operate the banking groups and maximize the shareholders benefit.

The New Basel Capital Accord (Basel II) provides added emphasis to the development of portfolio credit risk models. An important regulatory change in Basel II is the differentiated treatment in measuring capital requirements for the corporate exposures and retail exposures. Basel II allows agricultural loans to be categorized and treated as the retail exposures. However, portfolio credit risk model for agricultural loans is still in their infancy. Most portfolio credit risk models being used have been developed for corporate exposures, and are not generally applicable to agricultural loan portfolio. The objective of this study is to develop a credit risk model for agricultural loan portfolios. The model developed in this study reflects characteristics of the agricultural sector, loans and borrowers and designed to be consistent with Basel II, including consideration given to forecasting accuracy and model applicability. This study conceptualizes a theory of loan default for farm borrowers. A theoretical model is developed based on the default theory with several assumptions to simplify the model. An annual default model is specified using FDIC state level data over the 1985 to 2003. Five state models covering Iowa, Illinois, Indiana, Kansas, and Nebraska areestimated as a logistic function. Explanatory variables for the model are a three-year moving average of net cash income per acre from crops, net cash income per cwt from livestock, government payments per acre, the unemployment rate, and a trend. Net cash income generated by state reflects the five major commodities: corn, soybeans, wheat, fed cattle, and hogs. A simulation model is developed to generate the stochastic default rates by state over the 2004 to 2007 period, providing the probability of default and the loan loss distribution in a pro forma context that facilitates proactive decision making. The model also generates expected loan loss, VaR, and capital requirements. This study suggests two key conclusions helpful to future credit risk modeling efforts for agricultural loan portfolios: (1) net cash income is a significant leading indicator to default, and (2) the credit risk model should be segmented by commodity and geographical location.

Inaug.-diss.--Basel. / "Die Arbeit erscheint gleichzeitig als Buchausgabe." Curriculum vitae. "Literatur-und Quellenverzeichnis": p. 5-6.

Diss.--Basel--Universität.

No description available.

Subject of this dissertation thesis is the readiness of selected Czech banks and one cooperative lending institution to implementation of BASEL III capital requirements. Analysis is concentrated to current state of BASEL II and BASEL III in field of liquidity. For a purpose of comparison the indicator of Liquidity Coverage Ratio required by BASEL III is calculated and, when necessary, theoretically modeled. Institutions are analyzed whether they are ready and what measures should be implemented to fulfill liquidity requirements including the impact of these measures to the market and market of financial instruments.

xi Abstract This thesis aims to provide eclectic legal and economic insight into the history, current principles and possible future development of bank capital adequacy regulation. We have worked with a variety of legal and economic literature and official Basel Committee publications. Our goal was to explore the economic background behind the Basel standards and find its legal ramifications and the incentives they create. In the first chapter, we analyze the economic rationale for banking regulation, explain possible methods of bank capital regulation and juxtapose them with other means of regulatory measures in the field of banking. The first chapter also gives overview of the Basel I framework, its implementation process, describes its utilization of new regulatory techniques, as well as its weaknesses. Second chapter provides overview of Basel II approval process and discusses its transparency and institutionary framework. Problematic issues of CRD directive in the Czech Republic are discussed in contrast with norms of due legislation process. In the next chapter, we describe the mechanics of the Basel II framework. In greater detail, we focus on the issues of securitization, off-balance sheet exposures and methods of "promise-shifting" in the financial system. Examples are used to illustrate the...